Template-Type: ReDIF-Article 1.0
Author-Name: Imre Ligeti
Author-Name: Zsolt Szõrfi
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: ligetii@mnb.hu
Author-Email: szorfizs@mnb.hu
Title: Methodological issues of credit rating –
Are sovereign credit rating actions
reconstructible?
Abstract: Credit rating agencies formulate publicly available opinions on the capacity and
willingness of debtors to repay debts. By doing so, they reduce the information
asymmetry between creditors and borrowers. Owing to regulatory efforts
commenced in recent years, credit rating processes have become increasingly
more transparent as credit rating agencies publish their methodology and make
available the values calculated for the most important key variables. This study
is intended to examine the extent to which the indicative rating range resulting
from the methodology at the current level of transparency explains the empirically
observed credit rating of sovereigns. The authors calculated a rating range of three
notches and found that in the case of S&P, a higher ratio of observed credit ratings
fell within this range and allowed for the reconstruction of individual steps, while
Moody’s and Fitch’s currently available methodologies proved to be less suited for
such a reconstruction.
Classification-JEL: G14, G24
Keywords: credit rating agency, credit rating, case study
Journal: Financial and Economic Review  
Pages: 7–32
Volume: 15
Issue: 1
Year: 2016
File-URL: http://english.hitelintezetiszemle.hu/letoltes/1-ligeti-szorfi-1.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:15:y:2016:i:1:p:7-32